Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests (Q3143705)
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scientific article; zbMATH DE number 6112108
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| English | Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests |
scientific article; zbMATH DE number 6112108 |
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Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests (English)
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3 December 2012
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asset allocation
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efficient frontier
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minimum var portfolio
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minimum CVaR portfolio
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parameter uncertainty
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